本文選題：行為金融學(xué) + 股票市場(chǎng)模型　； 參考：《蘭州大學(xué)》2014年碩士論文

【摘要】：行為金融學(xué)是把心理學(xué)尤其是行為科學(xué)融入到金融學(xué)中來(lái)解釋、研究和預(yù)測(cè)資本市場(chǎng)現(xiàn)象和問(wèn)題的學(xué)科。投資者行為傳染及其對(duì)市場(chǎng)的影響,是當(dāng)前行為金融學(xué)乃至整個(gè)金融學(xué)研究領(lǐng)域的熱點(diǎn)問(wèn)題之一。國(guó)內(nèi)研究主要集中在檢驗(yàn)機(jī)構(gòu)投資者的預(yù)測(cè)能力,而對(duì)基于個(gè)人投資者行為傳染的股票市場(chǎng)模型研究較少。 本文在行為金融學(xué)框架下,采用定性與定量結(jié)合的分析方法、實(shí)證分析方法和比較分析方法等,利用金融學(xué)、心理學(xué)、統(tǒng)計(jì)學(xué)、動(dòng)力學(xué)等理論工具以及應(yīng)用計(jì)算軟件,對(duì)投資者行為傳染影響股市資金的流動(dòng)過(guò)程進(jìn)行了研究,借鑒傳染病模型的建模思想建立了股票市場(chǎng)模型,并且通過(guò)討論平衡點(diǎn)的穩(wěn)定性來(lái)分析股市的變化情況,得到適用于股票市場(chǎng)的閾值定理,最后利用上證指數(shù)對(duì)其進(jìn)行實(shí)證分析。 本文通過(guò)定義傳染率和移出率量化了投資者的行為傳染,以此為基礎(chǔ)構(gòu)建的模型更為準(zhǔn)確的刻畫投資者實(shí)際投資決策時(shí)的行為規(guī)律及其對(duì)股指的影響。模型的理論研究與實(shí)證分析結(jié)果均表明股票漲跌情況與傳染率和移出率比值的變化一致,呈現(xiàn)非常強(qiáng)的正相關(guān)狀態(tài),且非線性關(guān)系占主導(dǎo)。最后進(jìn)行了Granger因果檢驗(yàn),得出的結(jié)果說(shuō)明投資者的行為傳染是引起股票市場(chǎng)上漲跌變化的原因,即投資者的行為傳染影響著股票市場(chǎng)上的漲跌情況,而股票市場(chǎng)上的漲跌情況不是引起投資者行為傳染變化的原因。本文基于投資行為傳染建立股市指數(shù)模型對(duì)股票市場(chǎng)進(jìn)行模擬,分析投資者行為傳染與股市波動(dòng)的關(guān)系,以及得出二者相關(guān)性和因果關(guān)系的結(jié)論,本文的研究方法具有創(chuàng)新性以及得到的結(jié)論具有很好的應(yīng)用價(jià)值。
[Abstract]:Behavioral finance is a discipline that integrates psychology, especially behavioral science, into finance to explain, study and predict capital market phenomena and problems. Investor behavior contagion and its impact on the market is one of the hot issues in the field of behavioral finance and finance. Domestic studies mainly focus on testing the prediction ability of institutional investors, but less on the stock market model based on individual investor behavior contagion. In this paper, under the framework of behavioral finance, qualitative and quantitative analysis methods, empirical analysis methods and comparative analysis methods are adopted, and theoretical tools such as finance, psychology, statistics and dynamics, as well as applied computing software, are used. This paper studies the influence of investor behavior contagion on the flow of capital in stock market, establishes the stock market model by using the idea of infectious disease model, and analyzes the change of stock market by discussing the stability of equilibrium point. The threshold theorem for stock market is obtained. Finally, the empirical analysis is carried out by using Shanghai Stock Exchange Index. This paper quantifies the behavior contagion of investors by defining contagion rate and moving out rate. Based on this model, the behavior law of investors' actual investment decision and its influence on stock index are described more accurately. The theoretical research and empirical analysis of the model show that the fluctuation of stock price is consistent with the ratio of contagion rate and moving out rate, showing a very strong positive correlation, and the nonlinear relationship dominates. Finally, the Granger causality test is carried out, and the results show that the behavior contagion of investors is the cause of the ups and downs in the stock market, that is, the behavior contagion of the investors affects the ups and downs in the stock market. But the stock market fluctuation situation is not causes the investor behavior contagion change reason. This paper establishes a stock market index model based on investment behavior contagion to simulate the stock market, analyzes the relationship between investor behavior contagion and stock market volatility, and draws a conclusion of the correlation and causality between them. The research method of this paper is innovative and the conclusions obtained have good application value.
【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51

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